Co-Integration between Mortgage Markets in the Monetary Union: 1995–2008
López Andión, Carmen; López Penabad, Celia; Maside Sanfiz, José Manuel
Year: 2010 Volume: 60 Issue: 1 Pages: 40-57
Abstract: This study provides evidence on the level of integration within the European Monetary Union mortgage markets between 1995 and 2008. The relationships between national mortgage markets are analyzed and an assessment is made of the extent to which these co-integrate with one another and with the average. In order to achieve this, mortgage interest rate series are studied using co-integration methodology. The process reveals that there are few relationships of this kind, and those that exist are most prevalent in the period 2000–2005 and, to a lesser extent, at the end of the period analyzed.
JEL classification: C5, G15, F36
Keywords: mortgage market, European Monetary Union, integration, co-integration, rolling regression
RePEc: http://ideas.repec.org/a/fau/fauart/v60y2010i1p40-57.html
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